Notice bibliographique
- Notice
Type(s) de contenu et mode(s) de consultation : Texte noté : électronique
Auteur(s) : Kienitz, Joerg
Titre(s) : Financial modelling [Texte électronique] : theory, implementation and practice (with Matlab source) / Joerg Kienitz, Daniel Wetterau
Publication : Chichester, West Sussex, UK : John Wiley & Sons Ltd, 2012
Description matérielle : 1 online resource
Collection : Wiley finance
Note(s) : Includes bibliographical references and index. - Print version record and CIP data provided by publisher.
Financial Modelling - Theory, Implementation and Practice is a unique combination
of quantitative techniques, the application to financial problems and programming
using Matlab. The book enables the reader to model, design and implement a wide range
of financial models for derivatives pricing and asset allocation, providing practitioners
with complete financial modelling workflow, from model choice, deriving prices and
Greeks using (semi- ) analytic and simulation techniques, and calibration even for
exotic options. The book is split into three parts. The first part considers f
Autre(s) auteur(s) : Wetterau, Daniel (1981-....). Fonction indéterminée
Autre(s) forme(s) du titre :
- Autre forme du titre : Financial modeling
Sujet(s) : Finances -- Modèles mathématiques
Finances -- Modèles mathématiques -- Logiciels
Identifiants, prix et caractéristiques : ISBN 9781118818565
Identifiant de la notice : ark:/12148/cb44655254s
Notice n° :
FRBNF44655254
(notice reprise d'un réservoir extérieur)
Table des matières : Financial Modelling; Contents; Introduction; 1 Introduction and Management Summary;
2 Why We Have Written this Book; 3 Why You Should Read this Book; 4 The Audience;
5 The Structure of this Book; 6 What this Book Does Not Cover; 7 Credits; 8 Code;
PART I FINANCIAL MARKETS AND POPULAR MODELS; 1 Financial Markets ; Data, Basics and
Derivatives; 1.1 Introduction and Objectives; 1.2 Financial Time-Series, Statistical
Properties of Market Data and Invariants; 1.2.1 Real World Distribution; 1.3 Implied
Volatility Surfaces and Volatility Dynamics; 1.3.1 Is There More than just a Volatility?
1.3.2 Implied Volatility1.3.3 Time-Dependent Volatility; 1.3.4 Stochastic Volatility;
1.3.5 Volatility from Jumps; 1.3.6 Traders' Rule of Thumb; 1.3.7 The Risk Neutral
Density; 1.4 Applications; 1.4.1 Asset Allocation; 1.4.2 Pricing, Hedging and Risk
Management; 1.5 General Remarks on Notation; 1.6 Summary and Conclusions; 1.7 Appendix
; Quotes; 2 Diffusion Models; 2.1 Introduction and Objectives; 2.2 Local Volatility
Models; 2.2.1 The Bachelier and the Black-Scholes Model; 2.2.2 The Hull-White Model;
2.2.3 The Constant Elasticity of Variance Model; 2.2.4 The Displaced Diffusion Model.
2.2.5 CEV and DD Models2.3 Stochastic Volatility Models; 2.3.1 Pricing European Options;
2.3.2 Risk Neutral Density; 2.3.3 The Heston Model (and Extensions); 2.3.4 The SABR
Model; 2.3.5 SABR ; Further Remarks; 2.4 Stochastic Volatility and Stochastic Rates
Models; 2.4.1 The Heston-Hull-White Model; 2.5 Summary and Conclusions; 3 Models with
Jumps; 3.1 Introduction and Objectives; 3.2 Poisson Processes and Jump Diffusions;
3.2.1 Poisson Processes; 3.2.2 The Merton Model; 3.2.3 The Bates Model; 3.2.4 The
Bates-Hull-White Model; 3.3 Exponential Lévy Models; 3.3.1 The Variance Gamma Model.
3.3.2 The Normal Inverse Gaussian Model3.4 Other Models; 3.4.1 Exponential Lévy Models
with Stochastic Volatility; 3.4.2 Stochastic Clocks; 3.5 Martingale Correction; 3.6
Summary and Conclusions; 4 Multi-Dimensional Models; 4.1 Introduction and Objectives;
4.2 Multi-Dimensional Diffusions; 4.2.1 GBM Baskets; 4.2.2 Libor Market Models; 4.3
Multi-Dimensional Heston and SABR Models; 4.3.1 Stochastic Volatility Models; 4.4
Parameter Averaging; 4.4.1 Applications to CMS Spread Options; 4.5 Markovian Projection;
4.5.1 Baskets with Local Volatility.
4.5.2 Markovian Projection on Local Volatility and Heston Models4.5.3 Markovian Projection
onto DD SABR Models; 4.6 Copulae; 4.6.1 Measures of Concordance and Dependency; 4.6.2
Examples; 4.6.3 Elliptical Copulae; 4.6.4 Archimedean Copulae; 4.6.5 Building New
Copulae from Given Copulae; 4.6.6 Asymmetric Copulae; 4.6.7 Applying Copulae to Option
Pricing; 4.6.8 Applying Copulae to Asset Allocation; 4.7 Multi-Dimensional Variance
Gamma Processes; 4.8 Summary and Conclusions; PART II NUMERICAL METHODS AND RECIPES;
5 Option Pricing by Transform Techniques and Direct Integration.